Has anybody discovered if it is possible to create a custom highway shield symbol in ArcGIS Pro? I have done this in ArcMap but don't see any way to do this from the Pro application.
As far as I know, There's no easy way to do that currently.
In future, ESRI will issue thematic stylx files, that will probably include road signs and you will be able to choose from them as a Point Background for the road Number label.
In the meanwhile, you could try one of the following workarounds that might work (or combining them):
What you want to do is start with a point layer, and edit the point symbol. You can find some starter styles by clicking the "Style..." button. Make you edits. Then save that symbol to a style (use the burger button on the top right next to 'Format Point Symbol'.
Once saved, the symbol will be available for use as a callout point symbol. Click the dropdown with the shield in the image below, then click 'more point symbols' and you'll see your saved symbols.
Retrieving data ...